An all-in, rule-based momentum strategy that dynamically selects a single leveraged ETF (or hedge) to hold, using short-term momentum (RSI) and trend (20-day MA) signals, with KMLM as a macro filter to guide choices and occasional hedges (UVXY, SQQQ, PSQ) for risk control.

The system watches a pool of high-momentum ETFs (often leveraged or inverse) plus a macro futures-style fund. It looks for strong short-term momentum (using a 10-day RSI) and favorable trend (price above a 20-day moving average) and then chooses one asset to own 100% of the portfolio. If momentum or trend looks dangerous, it moves toward hedges (inverse ETFs like SQQQ/PSQ, volatility UVXY) or alternative ballast (BSV). A key gate keeps or discounts trades based on KMLM’s signals (a managed futures ETF) to gauge broader market mood. The result is an all-in-on-one-asset, rule-driven program that prioritizes big moves in a chosen asset while using hedges to reduce risk when conditions deteriorate. Note: Leveraged and inverse ETFs can produce outsized gains or losses quickly; this approach requires careful monitoring and isn’t a typical diversified strategy.

One-asset, rule-based momentum with macro filters and hedges. Out-of-sample: Sharpe ~1.12 vs SPY 0.99; annualized return ~59% vs ~17%; Calmar ~2.09. Higher upside, but larger drawdowns (~28% vs ~19%).